YES you do want your payments to be via Guru. Guru provides a platform for employers to find freelancers, and for freelancers to find work and build a reputation. They should be compensated for the work they do for both parties. Your on-site payment pays them for the work they do for you.
The other benefit of working within the Guru system is that you can use the Safepay service. This allows you to request that funds for the projects you do to be deposited up front and held by Guru until your work is approved. You are guaranteed that there are funds available, and the employer is guaranteed that you won't be paid until they have the product in their hands and the chance to review it.